Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0655 |
| Annualized Std Dev | 0.2500 |
| Annualized Sharpe (Rf=0%) | 0.2619 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4206.0000 |
| NAs | 1.0000 |
| Minimum | -0.1331 |
| Quartile 1 | -0.0067 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0077 |
| Maximum | 0.1018 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0158 |
| Skewness | -0.4099 |
| Kurtosis | 8.2821 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0114 |
| Gain Deviation | 0.0111 |
| Loss Deviation | 0.0124 |
| Downside Deviation (MAR=210%) | 0.0159 |
| Downside Deviation (Rf=0%) | 0.0113 |
| Downside Deviation (0%) | 0.0113 |
| Maximum Drawdown | 0.6485 |
| Historical VaR (95%) | -0.0230 |
| Historical ES (95%) | -0.0383 |
| Modified VaR (95%) | -0.0247 |
| Modified ES (95%) | -0.0477 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | 2011-04-28 | -0.6485 | 984 | 444 | 540 |
| 2018-08-22 | 2020-03-23 | 2021-02-22 | -0.5331 | 629 | 398 | 231 |
| 2011-05-02 | 2011-10-03 | 2012-09-07 | -0.2769 | 343 | 108 | 235 |
| 2015-03-24 | 2016-02-11 | 2016-11-11 | -0.2514 | 416 | 225 | 191 |
| 2018-01-24 | 2018-04-02 | 2018-08-21 | -0.1167 | 146 | 47 | 99 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | NA | NA | NA | NA | 0.2 | 0.5 | 1.6 | 0.5 | 1.5 | 0.1 | 4.4 |
| 2005 | 0.8 | 1.1 | -0.7 | 0.6 | 1.1 | 0.5 | 0.4 | 0.6 | 0.2 | -0.3 | 2 | -0.8 | 5.7 |
| 2006 | 0.4 | 1 | 0.4 | -0.3 | 1.9 | -0.1 | -0.9 | 0.1 | -0.9 | -1.6 | -0.6 | -1.1 | -1.7 |
| 2007 | 1 | 0.2 | 0.4 | 0.2 | 0.9 | -1.7 | 0.8 | 1.6 | 2.2 | -4.4 | 1 | -0.2 | 1.8 |
| 2008 | 2.1 | -2.6 | 3.1 | 2.5 | -0.5 | 0.2 | 0.4 | -0.9 | -0.4 | 4.4 | -12.1 | 3.4 | -1.6 |
| 2009 | -3.6 | -1.1 | 1.6 | 0.2 | 4.5 | 2.1 | 0.5 | -3.6 | -3.3 | -3.3 | 1.9 | -1.4 | -5.9 |
| 2010 | 1.5 | 1.8 | 0.8 | -2.8 | -3.7 | -0.8 | 0 | 3.8 | 0.5 | -0.6 | 2 | -0.6 | 1.7 |
| 2011 | 1.7 | -1.5 | 0.6 | 0.2 | -2.5 | 1.7 | -0.6 | -2.3 | -2.9 | -3.5 | -0.6 | -0.6 | -9.9 |
| 2012 | 2 | 0.4 | -0.1 | 0.3 | -2.5 | 2.6 | -1.3 | 0.2 | 0.3 | 1.5 | 0 | 1.9 | 5.5 |
| 2013 | 0.9 | -0.3 | -1.1 | -2.1 | -0.8 | 1.2 | 1.6 | -1.4 | 1.1 | 0 | 0.2 | 0.1 | -0.6 |
| 2014 | -0.6 | 0.3 | 0.8 | -0.1 | 0.1 | 1.2 | -0.4 | 0.4 | -1.2 | 1.5 | -1.8 | -1 | -0.8 |
| 2015 | -1.5 | -0.2 | 0 | 0.6 | -0.1 | 0.4 | 0.1 | -3.1 | -0.2 | -0.2 | 0.6 | -1 | -4.4 |
| 2016 | 0.6 | 1.8 | -0.1 | -0.2 | 0.3 | 1 | -1 | -0.2 | 1.2 | -1.2 | -0.2 | -0.4 | 1.6 |
| 2017 | -0.3 | 1.8 | 0.3 | 0.3 | 1.8 | 0.1 | 0.1 | 0.6 | 0 | -0.2 | -0.4 | -0.1 | 3.9 |
| 2018 | 0.1 | -0.4 | 1.2 | 0 | 0.9 | 0.3 | -0.5 | 0 | -0.8 | 0.7 | 0.6 | 0.5 | 2.6 |
| 2019 | 0.1 | 0.6 | 1.7 | -0.9 | -1.2 | 0.1 | -2.9 | 0.2 | -1.9 | 1.9 | -0.8 | 0.2 | -3 |
| 2020 | -1.8 | -2 | -6.1 | -4.5 | 1.6 | -2 | -1.1 | 0.6 | 1 | -0.5 | 1.5 | 0 | -12.6 |
| 2021 | 1.4 | 2.5 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-07-06 59.9 SPY 112. -0.0088 -1.38e-2 -0.0018 -0.024 0.133 -0.0789 -0.168 <NA> NA NA NA
2 2004-07-07 59.8 SPY 112. 0.00290 -1.49e-2 -0.0067 -0.0265 0.114 -0.0813 -0.181 <NA> NA NA NA
3 2004-07-08 59.6 SPY 111. -0.0071 -2.72e-2 -0.0286 -0.0303 0.102 -0.0912 -0.193 <NA> NA NA NA
4 2004-07-09 59.2 SPY 112. 0.0028 -1.07e-2 -0.0273 -0.0253 0.111 -0.0999 -0.198 <NA> NA NA NA
5 2004-07-12 59 SPY 112. 0.0004 -9.70e-3 -0.0177 -0.0226 0.126 -0.0993 -0.198 <NA> NA NA NA
6 2004-07-13 59.4 SPY 112. 0.0007 -3.00e-4 -0.0218 -0.0258 0.116 -0.0807 -0.198 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
